In an attempt to determine the nature of the enigmatic cocoon stars in the Quintuplet Cluster, we have obtained mid-infrared imaging and spectrophotometry of the cluster, using the CAM and SWS instruments on ISO, using SpectroCam-10 on the Palomar 5 m telescope, and NICMOS on HST. The spectra show smooth continua with various dust and ice absorption features. These features are all consistent with an interstellar origin, and there is no clear evidence for any circumstellar contribution to these features. We find no spectral line or feature that could elucidate the nature of these sources. Detailed modeling of the silicate absorption features shows that they are best reproduced by the mu Cep profile, which is typical of the interstellar medium, with tausil =~ 2.9. The high spatial resolution mid-IR images show that three of the five cocoon stars have spatially extended and asymmetric envelopes, with diameters of ~ 20 000 AUs. A reddening law similar to that of Lutz (\cite{lut99}) but with silicate features based on the mu Cep profile and normalized to our value of tausil is used to deredden the observed spectrophotometry. The dereddened energy distributions are characterised by temperatures of 750-925 K, somewhat cooler than determined from near IR data alone. Models of optically thin and geometrically thick dust shells, as used by Williams et al. (\cite{wil87}) for very dusty, late-type WC stars, reproduce the observed SEDs from 4 to 17mic , and imply shell luminosities of log (L/L<SUB>sun</SUB> M<SUB>sun</SUB>) =~ 4.5-4.9 for the brightest four components. An analysis of the various suggestions proposed to explain the nature of the cocoon stars reveals serious problems with all the hypotheses, and the nature of these sources remains an enigma. ISO is an ESA project with instruments funded by ESA Member States (especially the PI countries: France, Germany, The Netherlands and the UK) and with the participation of ISAS and NASA